This command follows the basic rules of SOQL in how it is implemented. Of course you must adhere to the limitations of relationship queries in SOQL as well. In this instance the important limitation is the that of only being able to query one level deep from Parent to Child. So you could get as far as
SELECT Id, Name,
(SELECT Id, Name FROM Opportunities),
(SELECT Id, Name FROM Contacts)
But querying OpportunityContact in one go would not be possible, I'm afraid. This command makes a single SOQL call to the org.
The good news is the DX team is writing the CLI to be pluggable, and they are signaling intention to open it up for community to contribute plugins, as well as write their own. (There was a session talking about this at TrailheaDX.) So at some point in the future you might be able to write (or get someone to write) a plugin that actually performs several queries and constructs a plan to pass to the
Side note: I'm pretty sure that
tree:import would support the import of the structure you describe as this is simply a wrapper around the REST SObject Tree API. I've not tested it, but it appears to fit the criteria described in the docs.